Indices · Basis and implied price

Indices implied price

The index level implied by its futures, bar by bar, including off-hours.

GET/v1/indices/implied-priceindicesImpliedPrice

API Pro Overnight data: API Pro MCP tool: indices_implied_price History-bounded Dataset: futures + indices

On this page

Example request
Parameters
Response
Example response
Related

What the cash index would be worth given its futures, per bar, around the clock. fair_value_implied_price is the futures price carried back to the index by cost of carry, F x e^-(r-q)T, with r the risk-free rate (the configured rate, otherwise the model's SOFR-derived rate), q the dividend yield and T the time to the contract's final settlement (09:30 Eastern Time on the third Friday of the contract month for equity-index futures). implied_price is the terminal's close-offset model for SPX and NDX: the futures price shifted by the offset between the last official cash close and the futures price at that close; it is null for other indices and where the model has no observation. index_price is the official cash value while the index prints and null otherwise. Neither implied value is an official index print. Requires the overnight entitlement (API Pro) and the futures and indices dataset releases. At most 7 days per request; the range defaults to the last 24 hours. History is available for the most recent 90 days; futures history for a range is loaded on first use (503 data_pending: retry).

Example request

curl -sS --get "https://api.ordermap.si/v1/indices/implied-price" \
  -H "Authorization: Bearer $ORDERMAP_API_KEY" \
  --data-urlencode symbol=SPX

const params = new URLSearchParams({
  symbol: "SPX",
});
const res = await fetch(`https://api.ordermap.si/v1/indices/implied-price?${params}`, {
  headers: { Authorization: `Bearer ${process.env.ORDERMAP_API_KEY}` },
});
if (!res.ok) throw new Error(`${res.status} ${await res.text()}`);
const { data, meta } = await res.json();
console.log(data, meta.coverage);

Set ORDERMAP_API_KEY to your key. Replace the dates with a recent trading date.

Parameters

5 parameters, 1 required.

Parameter	Type and limits	Description
`symbol`queryrequired	stringat most 10 characterspattern ^[A-Za-z][A-Za-z0-9]{0,9}$	Index with a futures pair, for example SPX (ES, MES), NDX (NQ, MNQ), RUT or DJI.
`contract`queryoptional	stringat most 6 characterspattern ^[A-Za-z0-9]{1,3}[FGHJKMNQUVXZfghjkmnquvxz][0-9]{1,2}$	Exact dated futures contract of the index's futures, for example ESZ6. Default: the front month of the first futures root that is served, resolved when the request is made and returned in every row.
`interval`queryoptional	string1m2m3m5m10m15m30m1hdefault 5m	Bar size.
`start_time`queryoptional	integerunix-msmin 946684800000max 4102444800000	First bar start to return (inclusive).
`end_time`queryoptional	integerunix-msmin 946684800000max 4102444800000	End of the range (exclusive); at most 7 days after start_time.

Response

Status	Meaning	Body
`200`	Successful response.	Schema below
`400`	Invalid, unknown or repeated parameters, or an invalid cursor.	Error object
`401`	Missing or invalid API key.	Error object
`403`	The plan, dataset release or account state does not allow this request.	Error object
`422`	The request is valid but no data exists for it.	Error object
`429`	Rate limit, burst limit or cooldown; wait Retry-After seconds.Retry-After	Error object
`500`	Internal error.	Error object
`503`	Data temporarily unavailable; retry after Retry-After seconds.Retry-After	Error object
`504`	The request timed out.	Error object

Authenticated responses carry the X-RateLimit-* headers (see rate limits); 429 and 503 add Retry-After.

200 response body

dataarray<object>required11 fields inside
- completebooleanrequiredThe bar has closed and its futures minutes were all received.
- contractstringrequiredFutures contract used.
- days_to_settlementnumberrequiredDays from the bar close to the contract's final settlement.
- dividend_yieldnumberrequiredContinuous annual dividend yield used.
- fair_value_implied_pricenumberrequiredFutures price carried back to the index by cost of carry.
- futures_pricenumberrequiredFutures close of the bar.
- implied_pricenumber | nullrequiredClose-offset implied index (SPX and NDX only).
- index_pricenumber | nullrequiredOfficial index value at the bar close, null outside the cash session.
- risk_free_ratenumberrequiredContinuously compounded annual risk-free rate used.
- start_timeintegerunix-msrequiredStart of the bar. Unix epoch milliseconds (UTC).
- symbolstringrequiredIndex symbol.
metaobjectrequiredMeta object

Example response

{
  "data": [
    {
      "complete": true,
      "contract": "ESZ6",
      "days_to_settlement": 63.27,
      "dividend_yield": 0.013,
      "fair_value_implied_price": 5991.84,
      "futures_price": 6021.5,
      "implied_price": 5993.7,
      "index_price": null,
      "risk_free_rate": 0.0412,
      "start_time": 1792101600000,
      "symbol": "SPX"
    }
  ],
  "meta": {
    "as_of": 1760659200123,
    "coverage": {
      "complete": true
    },
    "delay_ms": 0,
    "delayed": false,
    "request_id": "0199f0c2-5a1e-7c3b-9d4e-2b6f8a1c3d5e",
    "source": "cme"
  }
}

Values are illustrative. Missing values are null, never 0.